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We Ran One Regression

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  • David F. Hendry
  • Hans-Martin Krolzig

Abstract

The controversy over the selection of 'growth regressions' was precipitated by some remarkably numerous 'estimation' strategies, including two million regressions by Sala-i-Martin ["American Economic Review" (1997b) Vol. 87, pp. 178-183]. Only one regression is really needed, namely the general unrestricted model, appropriately reduced to a parsimonious encompassing, congruent representation. We corroborate the findings of Hoover and Perez ["Oxford Bulletin of Economics and Statistics" (2004) Vol. 66], who also adopt an automatic general-to-simple approach, despite the complications of data imputation. Such an outcome was also achieved in just one run of "PcGets", within a few minutes of receiving the data set in Fernández, Ley and Steel ["Journal of Applied Econometrics" (2001) Vol. 16, pp. 563-576] from Professor Ley. Copyright 2004 Blackwell Publishing Ltd.

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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 66 (2004)
Issue (Month): 5 (December)
Pages: 799-810

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Handle: RePEc:bla:obuest:v:66:y:2004:i:5:p:799-810

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  1. McAleer, Michael & Pagan, Adrian, 1985. "What Will Take the Con Out of Econometrics?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 39, C.E.P.R. Discussion Papers.
  2. Kevin D. Hoover & Stephen J. Perez, . "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Department of Economics, California Davis - Department of Economics 97-27, California Davis - Department of Economics.
  3. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2003_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  4. Phillips, Peter C B, 1996. "Econometric Model Determination," Econometrica, Econometric Society, Econometric Society, vol. 64(4), pages 763-812, July.
  5. Levine, Ross & Renelt, David, 1991. "A sensitivity analysis of cross-country growth regressions," Policy Research Working Paper Series 609, The World Bank.
  6. Peter C.B. Phillips, 1995. "Automated Forecasts of Asia-Pacific Economic Activity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1103, Cowles Foundation for Research in Economics, Yale University.
  7. Hendry, David F & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Royal Economic Society Annual Conference 2003, Royal Economic Society 105, Royal Economic Society.
  8. Leamer, Edward E & Leonard, Herman B, 1983. "Reporting the Fragility of Regression Estimates," The Review of Economics and Statistics, MIT Press, vol. 65(2), pages 306-17, May.
  9. Julia Campos & David F. Hendry & Hans-Martin Krolzig, 2003. "Consistent Model Selection by an Automatic "Gets" Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 65(s1), pages 803-819, December.
  10. Carmen Fernandez & Eduardo Ley & Mark Steel, 1999. "Model uncertainty in cross-country growth regressions," Econometrics, EconWPA 9903003, EconWPA, revised 06 Oct 2001.
  11. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198283164, October.
  12. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, Econometric Society, vol. 68(5), pages 1097-1126, September.
  13. Kevin D. Hoover & Stephen J. Perez, . "Truth and Robustness in Cross-country Growth Regressions," Department of Economics, California Davis - Department of Economics 01-01, California Davis - Department of Economics.
  14. Temple, Jonathan, 2000. "Growth Regressions and What the Textbooks Don't Tell You," Bulletin of Economic Research, Wiley Blackwell, Wiley Blackwell, vol. 52(3), pages 181-205, July.
  15. Jerzy Mycielski & Michal Kurcewicz, 2004. "A Specification Search Algorithm for Cointegrated Systems," Computing in Economics and Finance 2004, Society for Computational Economics 321, Society for Computational Economics.
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